TY - JOUR T1 - How Risk–Return Efficient Are Target Risk Strategies? JF - The Journal of Index Investing SP - 33 LP - 42 DO - 10.3905/jii.2014.4.4.033 VL - 4 IS - 4 AU - Roland Füss AU - Markus Grabellus AU - Ferdinand Mager AU - Jan-Carl Plagge Y1 - 2014/02/28 UR - https://pm-research.com/content/4/4/33.abstract N2 - We empirically analyze the properties of target risk strategies compared with pure index investments. We also study them in the context of popular alternative strategies such as minimum-variance and equally weighted portfolios. We document a strong (out)performance. For our sample period of about 20 years, capitalization-weighted index returns can be systematically achieved at a lower variance. However, there is a trade-off between leveraging that potentially creates higher returns and the volatility loss due to leverage that leads to an optimal risk level.TOPICS: Mutual funds/passive investing/indexing, portfolio construction, style investing ER -